Securitisation Portfolio Management Analyst

About the job

Your Main Activities Are

• Providing RISK oversight to the wind-down of legacy Asset Backed Securities (ABS) Portfolios of the bank, which includes undertaking quarterly International Financial Reporting Standard 9 (IFRS9) provisions committee reviews, provision analysis and recommendations in liaison with the Business contributors within Corporate and Institutional Banking (CIB)
• Production of quarterly IFRS9 Cost of Risk computations and periodic stress testing
• Contribution to stress testing of Risk Weighted Assets, for securitization positions
• Prudential valuation and liquidity reserve computation
• Other ad hoc roles defined from time to time
• Over time, key responsibilities will shift towards portfolio management, which include the following
• Monitoring of existing transactions, which include a critical look over transactions’ metrics and limits, identification of performance trends and seeking allocated analyst’s opinion to clarify any observed trend and/or breach of limits. This also includes the identification of key trends of the portfolio by asset class
• In terms of reporting to different stakeholders’, liaise with specialist of each asset class in order to obtain latest update for that asset class. With time and knowledge of the portfolio/market, be able to provide such comments. These comments and/or dashboards should be provided in a timely manner, in addition to being accurate and relevant for each stakeholder
• Regarding annual reviews of transactions, provide yearly calendar of annual reviews and be in constant contact with Business to prevent overdue annual reviews and proposals being delivered with sufficient time before deadline
• For quarterly portfolio reviews, be responsible, on RISK side, for the review of the materials sent by Business and identification of potential signs of deterioration and/or mistakes in data (and seek its correction if needed). In addition, person will be responsible for preparation of minutes of quarterly reviews’ meetings

Profile and Skills to Success

• Bachelor’s Degree in Economics / Finance / Accounting / Mathematics / Statistics or related
• At least 3 years of experience in Financial Analysis / Advisory or similar
• Advanced level of English, both written and oral
• Knowledge in MS Office Pack (Excel, PowerPoint) and IFRS9 and provisions computations
• Familiarity with Basel III/IV, CRR II, EBA Guidelines on securitisation, FCA/ECB supervisory expectations, AP/ILAAP and the overall risk management framework
• Experience working with Internal Audit, Compliance and external regulators on risk related matters
• Proficiency with risk‑systems (for example, Moody’s Analytics, SAS Risk, Bloomberg, internal risk data‑warehouse)
• Understanding of data‑quality frameworks, version‑control, model‑risk‑management (MRM) processes and documentation standards
• Experience building and maintaining large‑scale data sets; proficient in SQL, Python/R, SAS, VBA/Excel, and data‑visualisation tools (Power BI, Tableau)
• Advanced quantitative skill‑set – statistical analysis, correlation modelling, risk‑metrics (PD, LGD, EAD, EL, VaR, CVaR, Expected Shortfall)
• Experience evaluating credit quality of corporate borrowers, special‑purpose vehicles (SPVs) and/or asset‑backed structures (ABS, CLO, RMBS, CMBS, BTL)
• Understanding of cash‑flow waterfalls, over‑collateralisation, tranching and waterfall‑priority mechanics
• Ability to help design and run independent portfolio‑level reviews, back‑testing of models and “challenge” the assumptions used by 1st‑LoD PMs
• Attention to detail / rigor
• Ability to deliver / results driven
• Analytical ability
• Communication skills, both written and oral
• Creativity and innovation / problem solving
• Critical thinking
• Proactivity 
• Resilience 

#LI-Hybrid 

Why joining BNP Paribas? 

Leading player in banking and financial services in Europe, BNP Paribas operates in 64 countries and has nearly 178,000 employees, including more than 144,000 in Europe 

The Group holds key positions in several areas of banking and financial services that are structured around three operating divisions:

In Portugal since 1985, BNP Paribas today has more than 9.220 employees, distributed across the Group's 10 business entities established in the country. Its presence also extends to 11 centres of expertise providing value-added services to various countries where the BNP Paribas Group also operates.

BNP Paribas ´ambition is to cultivate an open and responsive environment for all that encourages collaboration and interaction. We demonstrate our commitment by actively contributing to the Group’s Diversity and Inclusion strategy and goals, in line with the United Nations Sustainable Development Goals. As part of our local Corporate and Social Responsibility – Diversity & Inclusion strategy, BNP Paribas Portugal is committed to:

To foster the effort of BNP Paribas Portugal, multiple initiatives and events take place throughout the year where our people can find out more on the importance of diversity inclusion at the workplace and in our society.

At BNP Paribas, we embrace a Smart Working framework based on trust, autonomy and collaboration. Within this framework, eligible employees can benefit from flexible remote working options adapted to our hybrid working environment. To ensure a comfortable and efficient working setup, eligible employees are provided with both office and home equipment, are entitled to an equipment allowance and can benefit from exclusive partnerships to purchase additional items at reduced prices. 

Supporting employees in a hybrid way of working while providing them with the means to maintain a work-life balance is an essential dimension of our Smart Working program. At BNP Paribas, we care about our employees’ wellbeing and promote a culture of good integration between work and personal life. 

To find out more on why you should join BNP Paribas please read our Employee Value Proposition and our Career path page.

* Please note that only applications submitted in English will be considered. 

* In case you are selected for this role, further documentation will be requested to support your hiring process.